Dynamic Time Lag Regression: Predicting What & When

Anonymous

Sep 25, 2019 ICLR 2020 Conference Blind Submission readers: everyone Show Bibtex
  • Keywords: Dynamic Time-Lag Regression, Time Delay, Regression, Time Series
  • TL;DR: We propose a new regression framework for temporal phenomena having non-stationary time-lag dependencies.
  • Abstract: This paper tackles a new regression problem, called Dynamic Time-Lag Regression (DTLR), where a cause signal drives an effect signal with an unknown time delay. The motivating application, pertaining to space weather modelling, aims to predict the near-Earth solar wind speed based on estimates of the Sun's coronal magnetic field. DTLR differs from mainstream regression and from sequence-to-sequence learning in two respects: firstly, no ground truth (e.g., pairs of associated sub-sequences) is available; secondly, the cause signal contains much information irrelevant to the effect signal (the solar magnetic field governs the solar wind propagation in the heliosphere, of which the Earth's magnetosphere is but a minuscule region). A Bayesian approach is presented to tackle the specifics of the DTLR problem, with theoretical justifications based on linear stability analysis. A proof of concept on synthetic problems is presented. Finally, the empirical results on the solar wind modelling task improve on the state of the art in solar wind forecasting.
  • Code: https://drive.google.com/file/d/1AZkS1W4Yzr9l9ncfl_w9qb2zkvUz5KJ5/view?usp=sharing
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